Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 1 1 1
Score -15.28 -10.19 -10.02
Market Cap (Millions USD) 496.97 400.12 415.22
Predicted Beta 0.09 0.08 0.1
Idiosyncratic Volatility 2.17 2.08 2.85

Annualized return and volatility

EWM
Annualized Return 0.0438
Annualized Std Dev 0.2169
Annualized Sharpe (Rf=0%) 0.2021

Row

Daily Return Statistics

EWM
Observations 5112.0000
NAs 2.0000
Minimum -0.1250
Quartile 1 -0.0062
Median 0.0000
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0069
Maximum 0.0899
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0137
Skewness -0.2923
Kurtosis 6.6233

Downside Risk

EWM
Semi Deviation 0.0098
Gain Deviation 0.0097
Loss Deviation 0.0102
Downside Deviation (MAR=210%) 0.0146
Downside Deviation (Rf=0%) 0.0097
Downside Deviation (0%) 0.0097
Maximum Drawdown 0.5212
Historical VaR (95%) -0.0210
Historical ES (95%) -0.0319
Modified VaR (95%) -0.0215
Modified ES (95%) -0.0389
From Trough To Depth Length To Trough Recovery
2008-01-15 2008-10-27 2010-08-27 -0.5212 673 202 471
2000-02-08 2001-04-09 2005-01-12 -0.5181 1262 300 962
2014-08-28 2015-08-24 NA -0.4015 1365 255 NA
2011-07-08 2011-10-03 2012-09-14 -0.2225 306 62 244
2007-02-26 2007-03-05 2007-04-03 -0.1811 28 6 22

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec EWM
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 -0.9 -0.9 0.0 3.0 0.0 0.0 0.0 -3.2 0.0 0.0 -1.1 0.0 -3.1
2001 -3.5 1.9 0.0 -3.3 1.7 0.0 2.1 0.0 -1.1 -0.9 0.0 0.0 -3.2
2002 0.9 2.6 -0.3 -0.3 0.0 0.2 0.4 0.0 1.6 -0.9 0.0 0.0 4.1
2003 0.0 0.0 -1.0 -0.6 0.0 1.3 -0.3 0.0 1.2 0.0 2.8 0.0 3.3
2004 0.0 1.7 -2.2 0.0 0.2 -0.3 0.0 1.1 2.2 -0.1 0.5 0.0 3.0
2005 0.7 -1.3 -0.7 0.0 0.6 -0.3 0.0 0.3 0.0 0.4 0.1 0.0 -0.2
2006 -0.6 0.4 0.0 0.0 0.7 0.0 -1.2 1.2 0.0 -0.1 0.1 0.0 0.5
2007 0.4 -2.6 0.0 1.1 1.5 0.0 0.0 0.0 1.9 -4.0 0.0 0.0 -1.8
2008 1.2 0.0 1.1 1.5 0.0 -1.0 0.4 0.0 -0.7 0.0 -6.0 0.0 -3.6
2009 0.0 0.0 3.6 1.0 2.0 0.9 0.0 -0.5 -0.3 0.0 0.8 0.0 7.7
2010 0.7 1.5 1.2 0.0 0.2 0.5 0.0 2.9 0.8 0.0 1.7 0.0 9.9
2011 1.5 -0.1 1.0 0.0 -1.5 1.1 0.5 -0.7 0.0 -3.0 -1.5 0.0 -2.7
2012 1.0 0.7 0.0 0.0 -1.9 0.0 0.1 0.0 1.2 1.5 0.0 0.0 2.6
2013 0.1 0.0 -1.1 -0.7 0.0 0.0 1.2 0.0 2.1 0.5 0.0 0.0 2.1
2014 0.0 0.0 0.2 0.1 0.0 0.6 0.4 0.0 -0.8 0.0 -2.9 0.0 -2.4
2015 0.0 0.0 0.5 0.5 -1.0 1.5 0.0 -1.9 -0.9 0.0 1.7 0.0 0.4
2016 -1.4 3.6 -0.1 0.0 -0.8 -0.1 -0.1 0.0 0.0 -0.1 0.0 0.0 0.9
2017 -0.2 0.8 0.0 0.4 0.7 0.0 0.1 0.6 0.0 -0.3 -0.5 0.0 1.7
2018 -0.1 -0.4 0.0 -0.9 1.0 0.0 -0.9 0.0 -0.2 1.6 0.0 0.0 -0.1
2019 -0.7 -0.3 -0.8 -0.6 0.0 1.3 -0.8 0.0 0.0 1.0 0.0 -0.8 -1.7

Row

Rolling Performance Chart

Snail Trail Chart